Year-end data on the S&P 500®, Nominal GDP and Consumer Prices from 1925 to the most recent year-end for which final data is available.
data(SP500)A data frame with observations on the S&P 500® from 1925 to the most recent year end for which final data is available:
Year: type `num`.
SP500PriceHigh: type `num`. Highest price level achieved by the S&P 500 during the calendar year.
SP500PriceLow: type `num`. Lowest price level achieved by the S&P 500 during the calendar year.
SP500PriceClose: type `num`. Year-end (12/31) price of the S&P 500.
SP500EpsAll4Q: type `num`. As-Reported Earnings per share for the S&P 500 for the entire calendar year.
SP500EpsBest3Q: type `num`. 4/3 x Sum of the three highest quarterly earnings per share for the S&P 500 during the calendar year.
SP500EpsBest2Q: type `num`. 2 x Sum of the two highest quarterly earnings per share for the S&P 500 during the calendar year.
SP500EpsBest1Q: type `num`. 4 x the highest earnings per share in a quarter for the S&P 500 during the calendar year.
SP500RevenuePS: type `num`. Annual Revenues per share for the S&P 500 during the calendar year.
SP500BookValuePS: type `num`. Year-end (12/31) Book Value (or Shareholders' Equity) per share for the S&P 500.
SP500DPS: type `num`. Dividends per share for the S&P 500 during the calendar year.
SP500OperatingEPS: type `num`. Operating Earnings per share for the S&P 500 for the calendar year.
SP500NomRet: type `num`. Nominal total return including both change in price and dividends and not adjusted for inflation for the S&P 500 for the current calendar year.
SP500Nom1YrFwdRet: type `num`. Nominal total return including both change in price and dividends and not adjusted for inflation for the S&P 500 for the FOLLOWING calendar year. This is the same as SP500NomRet with a one year lag. It is included primarily to make it easy to build forecasting models without any need to apply a lag operator to SP500NomRet.
CPIAUCNS: type `num`. Consumer Price Index for All Urban Consumers: All Items in U.S. City Average, as of year end.
GDPA: type `num`. Nominal GDP at an annual frequency.
This dataset was constructed by combining information in various datasets, and is updated annually using data published in https://www.spglobal.com/spdji/en/documents/additional-material/sp-500-eps-est.xlsx. Final year-end numbers Revenues per share from 1992 to 199 are taken from SP500from1967to2007, and prior to this are estimated from the per-share revenues of the S&P 425 Industrials® and S&P Industrials® indices, using the procedure described in Philips, Thomas and Ural, Cenk, "Uncloaking Campbell and Shiller’s CAPE: A Comprehensive Guide to its Construction and Use", Journal of Portfolio Management, Vol 43, No. 1, Fall 2016, pp. 109-125.
Chapter 13 (Expected Returns) of Martin, Philips, Scherer, Stoyanov and Li, Portfolio Construction and Risk Analysis, Springer, 2024.
data(SP500)
names(SP500)
head(SP500, 5)
tail(SP500, 5)
Run the code above in your browser using DataLab